Ah, my bad on that, the way to change your display name right now is an annoying placeholder way:
Open a file explorer window to the game's files: r-click on Fantasy Strike in Steam -> Properties -> Local Files -> Browse Local Files.
In that folder, there's a file named displayname.txt that contains your online name. Edit that to change it.
Pretty soon I will change this to just use your Steam display name, but for now that's how you can change it, my apologies for the awkwardness.